recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message".

For example, first there is an Add Order Message, place a limit price ask order at price 10 dollar, then there is an Executed With Price Message tell that limit order has been executed at price 9.99 dollar which is 1 cent worse than the limit order. Could someone explain to me why this happens.

  • 2
    $\begingroup$ It could have been a buy order in which case it was price improved... $\endgroup$ – amdopt Sep 17 '17 at 18:37
  • $\begingroup$ It just sounds like you are dramatically wrongly building your order book. $\endgroup$ – experquisite Sep 19 '17 at 15:34
  • $\begingroup$ I was trying to build limit order book base on the messages stream, do you know where I goes wrong? $\endgroup$ – duke yue Sep 19 '17 at 23:07

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